PETER TANKOV : Citation Profile


Are you PETER TANKOV?

8

H index

8

i10 index

191

Citations

RESEARCH PRODUCTION:

9

Articles

24

Papers

RESEARCH ACTIVITY:

   10 years (2006 - 2016). See details.
   Cites by year: 19
   Journals where PETER TANKOV has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 12 (5.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta534
   Updated: 2020-05-23    RAS profile: 2016-02-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with PETER TANKOV.

Is cited by:

Gozzi, Fausto (7)

federico, salvatore (6)

Prigent, Jean-Luc (4)

Vanduffel, Steven (2)

Misiorek, Adam (2)

Weron, Rafał (2)

Fabozzi, Frank (2)

Maillet, Bertrand (2)

Gaspar, Raquel (2)

Castellano, Rosella (2)

Doko Tchatoka, Firmin (2)

Cites to:

Shephard, Neil (5)

Platen, Eckhard (4)

Barndorff-Nielsen, Ole (4)

Černý, Aleš (4)

Černý, Aleš (3)

Belomestny, Denis (3)

Puccetti, Giovanni (3)

Reiss, Markus (3)

Benhamou, Eric (3)

merton, robert (3)

Lo, Andrew (3)

Main data


Where PETER TANKOV has published?


Journals with more than one article published# docs
Stochastic Processes and their Applications3
Mathematical Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org19
Working Papers / HAL4

Recent works citing PETER TANKOV (2018 and 2017)


YearTitle of citing document
2017Hedging in L\evy Models and the Time Step Equivalent of Jumps. (2017). Cerny, Ales ; Denkl, Stephan ; Kallsen, Jan. In: Papers. RePEc:arx:papers:1309.7833.

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2017Multilevel Monte Carlo For Exponential L\{e}vy Models. (2017). Giles, Mike ; Xia, Yuan . In: Papers. RePEc:arx:papers:1403.5309.

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2017On the optimal exercise boundaries of swing put options. (2017). de Angelis, Tiziano ; Kitapbayev, Yerkin . In: Papers. RePEc:arx:papers:1407.6860.

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2019Approximate hedging with proportional transaction costs in stochastic volatility models with jumps. (2015). Pergamenschchikov, Serguei ; Nguyen, Thai Huu . In: Papers. RePEc:arx:papers:1505.02627.

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2019A pricing formula for delayed claims: Appreciating the past to value the future. (2019). Biffis, Enrico ; Prosdocimi, Cecilia ; Goldys, Beniamin . In: Papers. RePEc:arx:papers:1505.04914.

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2017Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2017). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097.

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2017Improved Fr\echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance. (2017). Lux, Thibaut ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:1602.08894.

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2017Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *. (2017). Pham, Huyen. In: Papers. RePEc:arx:papers:1604.06609.

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2018Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2018). Lux, Thibaut ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:1610.09734.

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2017A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302.

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2018Sequential Sampling for CGMY Processes via Decomposition of their Time Changes. (2018). Zhang, Zhiyuan. In: Papers. RePEc:arx:papers:1708.00189.

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2018Marginal and dependence uncertainty: bounds, optimal transport, and sharpness. (2018). Papapantoleon, Antonis ; Lux, Thibaut ; Kupper, Michael ; Bartl, Daniel. In: Papers. RePEc:arx:papers:1709.00641.

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2018Portfolio Rebalancing under Uncertainty Using Meta-heuristic Algorithm. (2018). Mohaddesi, Seyed Omid ; Zandieh, Mostafa. In: Papers. RePEc:arx:papers:1812.07635.

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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Yue, YE ; Kanniainen, Juho. In: Papers. RePEc:arx:papers:1901.02691.

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2019The value of power-related options under spectrally negative L\evy processes. (2019). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1910.07971.

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2020Detection of arbitrage opportunities in multi-asset derivatives markets. (2020). Sarmiento, Paulo Yanez ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2002.06227.

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2020Optimal hedging of a perpetual American put with a single trade. (2020). Palczewski, Jan ; de Angelis, Tiziano ; Cai, Cheng. In: Papers. RePEc:arx:papers:2003.06249.

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2018Small†cost asymptotics for long†term growth rates in incomplete markets. (2018). Seifried, Frank Thomas ; Melnyk, Yaroslav . In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:2:p:668-711.

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2018.

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2017Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes. (2017). Clement, Rey . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:23:y:2017:i:1:p:1-12:n:1.

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2018Numerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motion. (2018). Wang, Xiao ; Song, Renming ; Li, Xiaofan ; Duan, Jinqiao. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:337:y:2018:i:c:p:618-634.

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2019Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2019). Papapantoleon, Antonis ; Lux, Thibaut. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:73-83.

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2020On log-normal convolutions: An analytical–numerical method with applications to economic capital determination. (2020). Furman, Edward ; Kuznetsov, Alexey ; Hackmann, Daniel . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:120-134.

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2017Multivariate intensity estimation via hyperbolic wavelet selection. (2017). Akakpo, Nathalie. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:161:y:2017:i:c:p:32-57.

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2017Sensitivity of system reliability of corroding pipelines to modeling of stochastic growth of corrosion defects. (2017). Zhou, W ; Hong, H P ; Xiang, W. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:167:y:2017:i:c:p:428-438.

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2017On the conditional small ball property of multivariate Lévy-driven moving average processes. (2017). Sottinen, Tommi ; Yazigi, Adil ; Pakkanen, Mikko S. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:749-782.

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2017Truncated Realized Covariance when prices have infinite variation jumps. (2017). Mancini, Cecilia . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:6:p:1998-2035.

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2018Asymptotic behaviour of high Gaussian minima. (2018). Chakrabarty, Arijit ; Samorodnitsky, Gennady. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:7:p:2297-2324.

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2019Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process. (2019). Rey, Clement. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:2:p:539-571.

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2019Asymptotics for discrete time hedging errors under fractional Black–Scholes models. (2019). Wang, Wensheng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:149:y:2019:i:c:p:160-170.

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2017Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations. (2017). Gozzi, Fausto ; Fabbri, Giorgio ; Swiech, Andrzej. In: Post-Print. RePEc:hal:journl:hal-01505767.

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2017Rare event simulation related to financial risks: efficient estimation and sensitivity analysis. (2017). Agarwal, Ankush ; Liu, Gang ; Gobet, Emmanuel ; de Marco, Stefano. In: Working Papers. RePEc:hal:wpaper:hal-01219616.

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2017Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications *. (2017). Pham, Huyen. In: Working Papers. RePEc:hal:wpaper:hal-01305929.

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2019On Path–dependency ofConstant Proportion Portfolio Insurance strategies. (2019). Gaspar, Raquel ; Sousa, Joo Beleza ; Carvalho, Joo. In: Working Papers REM. RePEc:ise:remwps:wp0942019.

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2019Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy. (2019). Perera, Sandun ; Buckley, Winston. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-018-0335-2.

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2019Quanto Option Pricing with Lévy Models. (2019). Park, Jiho ; Fabozzi, Frank J ; Kim, Young S ; Fallahgoul, Hasan A. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-018-9807-8.

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2018Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading. (2018). Temocin, Busra Zeynep ; Selcuk-Kestel, Sevtap A ; Korn, Ralf. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-017-2638-5.

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2019Fast and accurate computation of the distribution of sums of dependent log-normals. (2019). MacKinlay, Daniel ; Salomone, Robert ; Botev, Zdravko I. In: Annals of Operations Research. RePEc:spr:annopr:v:280:y:2019:i:1:d:10.1007_s10479-019-03161-x.

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2019Lévy CARMA models for shocks in mortality. (2019). Rroji, Edit ; Mercuri, Lorenzo ; Hitaj, Asmerilda. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00248-9.

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2017Multilevel Monte Carlo for exponential Lévy models. (2017). Giles, Michael B ; Xia, Yuan . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0341-7.

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2018Stability of Radner equilibria with respect to small frictions. (2018). Herdegen, Martin ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0354-x.

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2020On Minimal Copulas under the Concordance Order. (2020). Fuchs, Sebastian ; Ahn, Jae Youn. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:184:y:2020:i:3:d:10.1007_s10957-019-01618-4.

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2018Clustering of financial instruments using jump tail dependence coefficient. (2018). Yang, Chen ; Li, Zhichuan ; Liu, Xin ; Wu, Jiang ; Jiang, Wenjun. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:3:d:10.1007_s10260-017-0411-1.

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2017Partial identification of average treatment effects on the treated through difference-in-differences. (2017). Fan, Yanqin ; Manzanares, Carlos A. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:1057-1080.

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2020A competing risks model with time‐varying heterogeneity and simultaneous failure. (2020). Liu, Ruixuan. In: Quantitative Economics. RePEc:wly:quante:v:11:y:2020:i:2:p:535-577.

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2017NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING. (2017). Safarov, Nemat ; Atkinson, Colin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500042.

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2018CONIC CPPIs. (2018). Marquet, Ine ; Schoutens, Wim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500127.

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Works by PETER TANKOV:


YearTitleTypeCited
2011Arbitrage Opportunities in Misspecified Stochastic volatility Models In: Papers.
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paper2
2010Tracking errors from discrete hedging in exponential L\evy models In: Papers.
[Full Text][Citation analysis]
paper5
2011Improved Frechet bounds and model-free pricing of multi-asset options In: Papers.
[Full Text][Citation analysis]
paper14
2010A finite dimensional approximation for pricing moving average options In: Papers.
[Full Text][Citation analysis]
paper2
2010A finite dimensional approximation for pricing moving average options.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2011Swing Options Valuation: a BSDE with Constrained Jumps Approach In: Papers.
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paper1
2011Swing Options Valuation:a BSDE with Constrained Jumps Approach.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2011Portfolio Insurance under a risk-measure constraint In: Papers.
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paper5
2011Portfolio insurance under a risk-measure constraint.(2011) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 5
article
2014Asymptotically optimal discretization of hedging strategies with jumps In: Papers.
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paper11
2014Small-time asymptotics of stopped L\evy bridges and simulation schemes with controlled bias In: Papers.
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paper4
2012Optimal simulation schemes for L\evy driven stochastic differential equations In: Papers.
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paper0
2013Numerical methods for the quadratic hedging problem in Markov models with jumps In: Papers.
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paper0
2012A new look at short-term implied volatility in asset price models with jumps In: Papers.
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paper7
2016Tail behavior of sums and differences of log-normal random variables In: Papers.
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paper6
2013Hedging under multiple risk constraints In: Papers.
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paper2
2013Market models with optimal arbitrage In: Papers.
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paper1
2016Tails of weakly dependent random vectors In: Papers.
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paper0
2014Implied volatility of basket options at extreme strikes In: Papers.
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paper0
2015Asymptotic indifference pricing in exponential L\evy models In: Papers.
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paper0
2015Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach In: Papers.
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paper4
2016Approximate Option Pricing in the L\evy Libor Model In: Papers.
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paper0
2008A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES In: Mathematical Finance.
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article15
2009CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES In: Mathematical Finance.
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article27
2009Constant proportion portfolio insurance in presence of jumps in asset prices.(2009) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 27
paper
2007Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2006Characterization of dependence of multidimensional Lévy processes using Lévy copulas In: Journal of Multivariate Analysis.
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article38
2009Asymptotic analysis of hedging errors in models with jumps In: Stochastic Processes and their Applications.
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article10
2010Jump-adapted discretization schemes for Lévy-driven SDEs In: Stochastic Processes and their Applications.
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article5
2011Asymptotic results for time-changed Lévy processes sampled at hitting times In: Stochastic Processes and their Applications.
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article5
2008Optimal consumption policies in illiquid markets In: Working Papers.
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paper11
2011Optimal consumption policies in illiquid markets.(2011) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 11
article
2006Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes In: Asia-Pacific Financial Markets.
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article16

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